Tid: 11 juni 2001 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Johan Stengård .

Titel: Dynamic Investment Policies for Property and Casualty Insurance Companies. (Examensarbete)

Sammanfattning: An insurance company may invest its assets in both risky and risk-free positions. By dividing its assets between these positions it is possible for the company to control its investment risk.

In our model the company will base its decisions, concerning control of the risk, on so called utility functions.

Once the utility function is specified, this thesis deals with finding the optimal proportion over time of the assets to be invested in risky and risk-free positions.

The problem will be considered from two approaches, continuous time and discrete time. The continuous time approach ends up in solving a highly nonlinear partial differential equation. In discrete time dynamic programming is used to solve the problem.

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